Fundamentals and Speculation in the Thai Baht Crisis
AbstractThis paper uses a structural vector-autoregressive framework to assess the relative importance of fundamental and speculative components of the Thai Baht with particular emphasis on the dramatic collapse of the currency in 1997. Two alternative models were used for this purpose, loosely based on the "first-generation" and "second-generation" currency-crisis models. We show that the fall in the observed exchange rate is more than accounted for by fundamentals which is at odds with the view that the collapse of the Thai currency in 1997 was due to "pure" speculation but simply reflected a long period of poor fundamentals. Copyright @ 2000 by John Wiley & Sons, Ltd. All rights reserved.
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Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal International Journal of Finance & Economics.
Volume (Year): 5 (2000)
Issue (Month): 4 (October)
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Web page: http://www.interscience.wiley.com/jpages/1076-9307/
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- Lukas Menkhoff & Chodechai Suwanaporn, 2007.
"On the rationale of bank lending in pre-crisis Thailand,"
Taylor & Francis Journals, vol. 39(9), pages 1077-1089.
- Menkhoff, Lukas & Chodechai Suwanaporn, Chodechai, 2005. "On the Rationale of Bank Lending in Pre-Crisis Thailand," Hannover Economic Papers (HEP) dp-326, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Andre Cartapanis, 2004. "Le declenchement des crises de change : qu'avons-nous appris depuis dix ans ?," Economie Internationale, CEPII research center, issue 97, pages 5-48.
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